This paper is a part of the report Business Development of the Overseas Chinese – The Case of Four East Asian Countries sponsored by the National Science Foundation of China. In past years, research on overseas Chinese business has risen all over the world. The overseas Chinese who amount to...

Dependence modeling plays a critical role in pricing and hedging multi-asset derivatives and managing risks with a portfolio of assets. With the emerge of structured products, it has attracted considerable interest in using multivariate Levy processes to model the joint dynamics of multiple...

We study the relation between the market reaction to analyst recommendation changes and the structure of analysts' research portfolios. We find that analysts maintain more positive recommendations for stocks that belong to the quot;core industryquot; in their research portfolios, and are more...

This paper investigates the change of the credit spread volatility from 1993 to 2001. We find that credit spreads between junk grade corporate bonds and Treasury bond are significantly more volatile in the second half of this period when credit related securities become popular. However credit...

This paper embeds security design in a model of evolutionary learning. We consider a competitive and perfect financial market where agents, as in Allen and Gale (1988), have heterogeneous valuations for cash flows. Our point of departure is that, instead of assuming that agents are endowed with...

We examine corporate security choice by simulating an economy populated by adaptive agents who learn about the structure of security returns and prices through experience. Through a process of evolutionary selection, each agent gravitates toward strategies that generate the highest payoffs....

We analyze a distressed firm indebted to many creditors. The firm's owners have the option of choosing the sequence of restructuring negotiations with the creditors. We show that sequencing flexibility is beneficial to firm owners, and that the optimal sequencing of restructuring negotiations...

This paper examines three portfolios weighted by fundamental measures of firm size: share repurchases, total payout, and earnings retention. We find that the repurchase weighted and the total payout weighted portfolios have higher excess returns and higher Sharpe ratios than the most common...

This paper examines the effect of managerial stock holdings on corporate dividend payments under the new dividend tax environment. Utilizing a very rare event on dividend tax rate cut introduced in May 2003, this paper allows us to fully investigate whether managers holding sizable stakes direct...

We model the natural evolution of private information over the life of a venture capitalist financed project. In the early stages, the entrepreneur is better informed regarding the project, and when the project matures, the venture capitalist has an informational advantage over the entrepreneur....